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New in Mathematica 9Random Processes

Covariance Function for Processes 

The CovarianceFunction at times s and t is given by Expectation[(x[s]-[s])(x[t]-[s]), xDistributed], where x[t] is the process state and [t] is the mean function.

A discrete-time and discrete-state random process.

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A discrete-time and continuous-state random process.

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A continuous-time and discrete-state random process.

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A continuous-time and continuous-state random process.

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